Publication Search Results

Exact matches for:

• Author = Kawai R     [web profile page]

51. Kawai R, Masuda H
Reiichiro Kawai and Hiroki Masuda: On simulation of tempered stable random variates, Journal of Computational and Applied Mathematics, 235 (2011), no. 8, 2873–2887.

52. Kashima K, Kawai R
Kenji Kashima and Reiichiro Kawai: A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization, Stochastic Models, 27 (2011), no. 1, 26–49.

53. Kawai R, Takeuchi A
Reiichiro Kawai and Atsushi Takeuchi: Greeks formulas for an asset price model with gamma processes, Mathematical Finance, 21 (2011), no. 4, 723–742.

54. Kawai R
Reiichiro Kawai: On sequential calibration for an asset price model with piecewise Lévy processes, IAENG International Journal of Applied Mathematics, 40 (2010), no. 4, 239–246.

55. Kashima K, Kawai R
Kenji Kashima and Reiichiro Kawai: An optimization approach to weak approximation of Lévy-driven stochastic differential equations, Perspective in Mathematical System Theory, Control, and Signal Processing, Springer, Berlin Heidelberg, (2010), 263–272. ISBN 978-3-540-93917-7.

56. Imai J, Kawai R
Junichi Imai and Reiichiro Kawai: Quasi-Monte Carlo method for infinitely divisible random vectors via series representations, SIAM Journal on Scientific Computing, 32 (2010), no. 4, 1879–1897.

57. Kawai R, Takeuchi A
Reiichiro Kawai and Atsushi Takeuchi: Sensitivity analysis for averaged asset price dynamics with gamma processes, Statistics and Probability Letters, 80 (2010), no. 1, 42–49.

58. Kawai R, Kohatsu-Higa A
Reiichiro Kawai and Arturo Kohatsu-Higa: Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion, Applied Mathematical Finance, 17 (2010), no. 4, 301–321.

59. Kawai R
Reiichiro Kawai: Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata, ACM Transactions on Modeling and Computer Simulation, 20 (2010), no. 2, Article 9.

60. Kashima K, Kawai R
Kenji Kashima and Reiichiro Kawai: An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing, Proceedings of the 48th IEEE Conference on, Joint 48th IEEE Conference on Decision and Control and 28th Chinese Control Conference, Alessandro Astolfi, Thomas Parisini (eds.), IEEE, Shanghai, (2009), 3673–3678. ISBN 0191-2216.

61. Kashima K, Kawai R
Kenji Kashima and Reiichiro Kawai: Polynomial programming approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing, ICCAS-SICE 2009, ICROS-SICE International Joint Conference 2009, Kiyotaka Izumi, Kang-Bak Park, Keiki Takadama (eds.), IEEE, Tokyo, Japan, (2009), 3902–3907. ISBN 978-4-907764-33-3.

62. Kawai R
Reiichiro Kawai: A multivariate Lévy process model with linear correlation, Quantitative Finance, 9 (2009), no. 5, 597–606.

63. Kawai R
Reiichiro Kawai: Sensitivity analysis and density estimation on the Hobson-Rogers stochastic volatility model, International Journal of Theoretical and Applied Finance, 12 (2009), no. 3, 283–295.

64. Kawai R
Reiichiro Kawai: Optimal importance sampling parameter search for Lévy processes via stochastic approximation, SIAM Journal on Numerical Analysis, 47 (2008), no. 1, 293–307.

65. Kawai R
Reiichiro Kawai: Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation, Methodology and Computing in Applied Probability, 10 (2008), no. 2, 199–223.

66. Kawai R
Reiichiro Kawai: Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation, Monte Carlo Methods and Applications, 13 (2007), no. 3, 197–217.

67. Houdré C, Kawai R
Christian Houdré and Reiichiro Kawai: On layered stable processes, Bernoulli, 13 (2007), no. 1, 252–278.

68. Houdré C, Kawai R
Christian Houdré and Reiichiro Kawai: On fractional tempered stable motion, Stochastic Processes and their Applications, 116 (2006), no. 8, 1161–1184.

69. Kawai R
Reiichiro Kawai: An importance sampling method based on the density transformation of Lévy processes, Monte Carlo Methods and Applications, 12 (2006), no. 2, 171–186.